Measuring Return and Volatility Spillovers among Sectoral Stocks in Nigeria
This paper examines the return and volatility spillovers of different sectoral stock prices in Nigeria using monthly data from January 2007 to December 2016. We employ the Diebold and Yilmaz (2012) spillover approach and rolling sample analysis to capture the inherent secular and cyclical movements...
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Series: | Zagreb International Review of Economics and Business |
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Online Access: | https://doi.org/10.2478/zireb-2019-0021 |
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doaj-63d02840b9824de59d0410a3013b9d9f2021-09-05T21:25:41ZengSciendoZagreb International Review of Economics and Business1849-11622019-11-01222719310.2478/zireb-2019-0021zireb-2019-0021Measuring Return and Volatility Spillovers among Sectoral Stocks in NigeriaFasanya Ismail Olaleke0Oyewole Oluwatomisin1Agbatogun Taofeek2Department of Economics, Augustine University, Lagos, Nigeria.Department of Economics, Federal University of Agriculture, Abeokuta.Department of Accounting, Federal University of Agriculture, Abeokuta.This paper examines the return and volatility spillovers of different sectoral stock prices in Nigeria using monthly data from January 2007 to December 2016. We employ the Diebold and Yilmaz (2012) spillover approach and rolling sample analysis to capture the inherent secular and cyclical movements in the sector stocks market.We show that there is substantial difference between the behaviour of the sectoral stock return and volatility spillover indices over time. We find evidence of interdependence among sector stocks given the spillover indices. While the return spillover index reveals increased integration among the sectoral stocks, the volatility spillover index experiences significant bursts during major market crises. Interestingly, return and volatility spillovers exhibit both trends and bursts respectively.https://doi.org/10.2478/zireb-2019-0021stocksreturnsvolatilitiesvector autoregressionforecast error variancespilloverc32c67g12 |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Fasanya Ismail Olaleke Oyewole Oluwatomisin Agbatogun Taofeek |
spellingShingle |
Fasanya Ismail Olaleke Oyewole Oluwatomisin Agbatogun Taofeek Measuring Return and Volatility Spillovers among Sectoral Stocks in Nigeria Zagreb International Review of Economics and Business stocks returns volatilities vector autoregression forecast error variance spillover c32 c67 g12 |
author_facet |
Fasanya Ismail Olaleke Oyewole Oluwatomisin Agbatogun Taofeek |
author_sort |
Fasanya Ismail Olaleke |
title |
Measuring Return and Volatility Spillovers among Sectoral Stocks in Nigeria |
title_short |
Measuring Return and Volatility Spillovers among Sectoral Stocks in Nigeria |
title_full |
Measuring Return and Volatility Spillovers among Sectoral Stocks in Nigeria |
title_fullStr |
Measuring Return and Volatility Spillovers among Sectoral Stocks in Nigeria |
title_full_unstemmed |
Measuring Return and Volatility Spillovers among Sectoral Stocks in Nigeria |
title_sort |
measuring return and volatility spillovers among sectoral stocks in nigeria |
publisher |
Sciendo |
series |
Zagreb International Review of Economics and Business |
issn |
1849-1162 |
publishDate |
2019-11-01 |
description |
This paper examines the return and volatility spillovers of different sectoral stock prices in Nigeria using monthly data from January 2007 to December 2016. We employ the Diebold and Yilmaz (2012) spillover approach and rolling sample analysis to capture the inherent secular and cyclical movements in the sector stocks market.We show that there is substantial difference between the behaviour of the sectoral stock return and volatility spillover indices over time. We find evidence of interdependence among sector stocks given the spillover indices. While the return spillover index reveals increased integration among the sectoral stocks, the volatility spillover index experiences significant bursts during major market crises. Interestingly, return and volatility spillovers exhibit both trends and bursts respectively. |
topic |
stocks returns volatilities vector autoregression forecast error variance spillover c32 c67 g12 |
url |
https://doi.org/10.2478/zireb-2019-0021 |
work_keys_str_mv |
AT fasanyaismailolaleke measuringreturnandvolatilityspilloversamongsectoralstocksinnigeria AT oyewoleoluwatomisin measuringreturnandvolatilityspilloversamongsectoralstocksinnigeria AT agbatoguntaofeek measuringreturnandvolatilityspilloversamongsectoralstocksinnigeria |
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1717780368278421504 |